I am in Brazil. Over last 2 1/2 years I made 119 purchases from the USA, Ireland, UK, Hong Kong and China (I have every single one documented, so my number is accurate!)
Of all those times, only once a package was misplaced by the Brazilian postal service. According to international laws, any package is property of the sender/shipper until delivered at the destination.
In that one case the package was from DealExtreme (Hong Kong), and they re-sent me the items. After 6 months, which is the time the Brazilian postal service (aka "Correios") officially considers a package as lost, DX was able to get a full refund from Correios for the value of the goods in the packages.
The Brazilian customs only inspects packages with a declared value of US$ 50 or more, and they just charge you the taxes and the package is cleared for pick up (when a package is taxed, it is not delivered... you have to pick up at the nearest post office and pay the taxes). That has happened to me about 1/5 of the times.